Multivariate shortfall risk statistics with scenario analysis

Xianfu Zeng, Haiyan Song, Yanhong Chen and Yijun Hu

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 3, 649-668

Abstract: In the present paper, we construct a new class of multivariate risk statistics, which are multivariate shortfall risk statistics. First, we propose the multivariate shortfall risk statistics. Then their basic properties are investigated, and the dual representation results are studied. Furthermore, their coherency is also characterized by means of the corresponding loss function. Finally, examples are given to illustrate the proposed multivariate shortfall risk statistics.

Date: 2022
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DOI: 10.1080/03610926.2020.1752726

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